Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0619 |
| Annualized Std Dev | 0.2289 |
| Annualized Sharpe (Rf=0%) | 0.2707 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3714.0000 |
| NAs | 1.0000 |
| Minimum | -0.1474 |
| Quartile 1 | -0.0050 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0064 |
| Maximum | 0.1084 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0144 |
| Skewness | -0.6539 |
| Kurtosis | 11.5805 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.6440 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0362 |
| Modified VaR (95%) | -0.0226 |
| Modified ES (95%) | -0.0485 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-02-01 | -0.6440 | 1427 | 444 | 983 |
| 2020-01-17 | 2020-03-23 | 2021-02-24 | -0.4694 | 278 | 45 | 233 |
| 2018-08-30 | 2018-12-24 | 2019-11-08 | -0.2005 | 301 | 80 | 221 |
| 2015-03-23 | 2016-01-20 | 2016-04-19 | -0.1581 | 272 | 210 | 62 |
| 2018-01-29 | 2018-02-08 | 2018-07-19 | -0.0916 | 120 | 9 | 111 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.7 | 0 | 0.1 | -0.3 | -0.6 | -0.1 | -0.3 | -0.6 |
| 2007 | 0.7 | -0.2 | 0.2 | 0.4 | 0.5 | -0.4 | 0.8 | 1.2 | 1.3 | -2.3 | 1.2 | -0.1 | 3.2 |
| 2008 | 1.8 | -2.7 | 4.1 | 2.2 | -0.2 | -0.2 | -0.1 | -0.2 | 0 | 2.8 | -9.4 | 3 | 0.4 |
| 2009 | -3.8 | -1.4 | 1.6 | -0.4 | 4.1 | 1.3 | 0.6 | -3.3 | -3.2 | -3 | 1.5 | -1 | -7.3 |
| 2010 | 0.8 | 1.2 | 0.5 | -1.7 | -2.5 | -0.1 | -0.2 | 3.2 | 0.3 | -0.1 | 1.6 | -0.6 | 2.3 |
| 2011 | 1.3 | -1.8 | 0.6 | 0 | -2.3 | 1.4 | -0.6 | -1.3 | -2 | -3.4 | -0.5 | -0.4 | -8.8 |
| 2012 | 1.6 | 0.5 | 0.4 | 0.7 | -2.4 | 2.3 | -0.3 | 0.4 | -0.4 | 1.4 | 0.5 | 1.7 | 6.4 |
| 2013 | 0.5 | 0.2 | -0.7 | -1.1 | -1 | 0.7 | 1.6 | -0.8 | 1 | 0.3 | -0.2 | 0.3 | 0.7 |
| 2014 | -0.1 | 0.4 | 0.6 | 0.1 | 0.2 | 0.3 | -0.1 | 0.4 | -1.1 | 1 | -0.8 | -1.1 | -0.1 |
| 2015 | -1.1 | -0.1 | -0.2 | 0.8 | 0.1 | 0.6 | 0.5 | -2.7 | -0.1 | 0.1 | 0.9 | -0.6 | -1.9 |
| 2016 | -0.1 | 1.6 | 0.1 | -0.3 | 0.2 | 0.2 | -0.5 | -0.1 | 0.4 | -1.1 | -0.4 | -0.3 | 0 |
| 2017 | -0.5 | 1 | 0.1 | -0.1 | 1.1 | 0.3 | 0.3 | 0.6 | 0.2 | 0 | -0.3 | -0.4 | 2.5 |
| 2018 | -0.3 | -0.4 | 1.2 | 0 | 0.6 | -0.1 | -0.9 | 0.1 | -0.4 | 1.6 | 0.6 | 0.9 | 2.8 |
| 2019 | 0.2 | 0.7 | 1.2 | -0.9 | -0.9 | 0.2 | -1.5 | 0.4 | -1.5 | 1.2 | -0.7 | 0.3 | -1.4 |
| 2020 | -1.6 | -2 | -5.8 | -3.7 | 1.4 | -0.8 | -0.5 | 0.3 | 0.5 | -0.1 | 1.2 | 0.4 | -10.4 |
| 2021 | 1.8 | 2.6 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
